FTB-C000596 / Algorithm

ZigZag Segmentation

ZigZag Segmentation is a causal state machine that compresses closes into alternating confirmed swings and one provisional endpoint.

Also known asZigZag

Intermediate Formula defined 1 linked topicEvidence-reviewed

Definitions

In plain terms

It keeps a running high or low until an opposite percentage move confirms the swing.

Technical

The selected variant is close-only, uses a fractional reversal threshold and minimum bar separation, and keeps the latest endpoint provisional.

Scope

The newest endpoint can move; only confirmed swings are locked historical outputs.

Formula

confirm high h when 1 - P_t/P_h >= tau and t-h >= m
LaTeX: 1-\frac{P_t}{P_h}\ge\tau,\quad t-h\ge m
SymbolMeaningUnit
P_tcurrent closeprice
taureversal fractionfraction

Output unit: boolean event

Examples

  • A reviewer computes ZigZag Segmentation on a small deterministic fixture and checks timing, units, and boundary behavior before publication.

Common misconceptions

  • The newest endpoint can move; only confirmed swings are locked historical outputs.

Concept relationships

Prerequisites

Related

Required by

Where this concept is used

Evidence and governance

  1. Zig Zag indicator QuantConnect · official platform documentation

    Supports: preferred label, short definition, technical definition, formula

    Limits: This package selects a close-only percentage-reversal variant and documents the difference.

  2. LEAN ZigZag source QuantConnect · first party technical publication

    Supports: preferred label, short definition, technical definition, formula

    Limits: A maintained implementation is evidence for one convention, not a universal market rule.

  3. Pine Script repainting concepts TradingView · official platform documentation

    Supports: preferred label, short definition, technical definition, formula

    Limits: Platform display behavior does not establish financial usefulness or predictive value.

  4. Closing Price Investor.gov · official standard

    Supports: preferred label, short definition, technical definition, formula

    Limits: A close is not automatically an adjusted close and may vary by market session convention.

Reviewed by
fintech-builder-batch-011
Last reviewed
2026-08-09
Next review
2027-08-09
Record status
evidence reviewed

This record is evidence-reviewed and readable, but not yet promoted to published — it is served noindex,follow and excluded from the sitemap.

Written by

Fintech engineer building market-data and financial systems, and the author of every article, glossary record, and reference implementation on The Fintech Builder.